Exploring price patterns by day of week for several major cryptocurrencies.
Get data:
## [1] "BTC-CAD"
## Index BTC-CAD.Open BTC-CAD.High BTC-CAD.Low
## Min. :2014-09-17 Min. : 211.2 Min. : 253.7 Min. : 205.1
## 1st Qu.:2016-08-09 1st Qu.: 802.5 1st Qu.: 806.7 1st Qu.: 799.8
## Median :2018-07-02 Median : 8436.4 Median : 8538.8 Median : 8288.0
## Mean :2018-07-02 Mean :15192.8 Mean :15588.6 Mean :14758.1
## 3rd Qu.:2020-05-24 3rd Qu.:14194.6 3rd Qu.:14525.9 3rd Qu.:13887.5
## Max. :2022-04-16 Max. :84050.8 Max. :85358.0 Max. :82605.9
## NA's :1 NA's :1 NA's :1
## BTC-CAD.Close
## Min. : 212.7
## 1st Qu.: 803.8
## Median : 8436.3
## Mean :15208.9
## 3rd Qu.:14240.6
## Max. :84072.1
## NA's :1
## 'data.frame': 731 obs. of 9 variables:
## $ BTC.CAD.Open : num 9376 9992 9930 10166 10098 ...
## $ BTC.CAD.High : num 10016 10034 10178 10193 10184 ...
## $ BTC.CAD.Low : num 9260 9894 9925 10034 9658 ...
## $ BTC.CAD.Close : num 9992 9935 10161 10102 9721 ...
## $ BTC.CAD.Volume : num 6.57e+10 4.55e+10 4.54e+10 4.40e+10 5.33e+10 ...
## $ BTC.CAD.Adjusted: num 9992 9935 10161 10102 9721 ...
## $ date : Date, format: "2020-04-16" "2020-04-17" ...
## $ day : chr "Thu" "Fri" "Sat" "Sun" ...
## $ week_of : Date, format: "2020-04-12" "2020-04-12" ...
Focusing on closing price on the assumption that if there is a pattern it will show up in closing price.
No strong, obvious pattern over the period. Monday has lowest median, Wednesday has highest, but LOTS of spread in the data, with no reliable pattern.
This data is over a 2 year period where there is a lot of variance in the price over time that may blur the weekly patterns. Could still be that there is a consistent pattern within weeks.
Let’s look at week-by-week trends by day:
Certainly some weeks with upward trend through the week (most obviously near end of 2021), but not exactly a consistent pattern to rely on across this date range.
Maybe focus on the past year, when price is in higher bracket.
Look at some individual day of week comparisons
If anything, looks like tendency to go down throughout the week from Sun to Sat? Let’s take a closer look:
Basically a wash:
Another comparison is checking if some days tend to close higher than open. This could lead to a strategy of buying early and selling late on days that tend to have upward trend.
##
## Call:
## lm(formula = BTC.CAD.Close ~ day, data = btc_rec_df)
##
## Residuals:
## Min 1Q Median 3Q Max
## -19626 -8183 -1368 6722 26570
##
## Coefficients:
## Estimate Std. Error t value Pr(>|t|)
## (Intercept) 57509.473 1519.032 37.859 <2e-16 ***
## dayMon -7.563 2148.236 -0.004 0.997
## dayTue -100.962 2148.236 -0.047 0.963
## dayWed -52.653 2148.236 -0.025 0.980
## dayThu -498.690 2148.236 -0.232 0.817
## dayFri -529.423 2148.236 -0.246 0.805
## daySat -68.817 2148.236 -0.032 0.974
## ---
## Signif. codes: 0 '***' 0.001 '**' 0.01 '*' 0.05 '.' 0.1 ' ' 1
##
## Residual standard error: 10950 on 357 degrees of freedom
## (1 observation deleted due to missingness)
## Multiple R-squared: 0.0003891, Adjusted R-squared: -0.01641
## F-statistic: 0.02316 on 6 and 357 DF, p-value: 0.9999